American put-call parity arbitrage : Nikkei 225 index futures and options (intraday bid-ask quotation from Jan-Oct 2000).
Tan, Yew Yuan.
Tay, Boon Kiang.
Date of Issue2001
College of Business (Nanyang Business School)
Various studies were conducted to the index arbitraging. Our study on Nikkei 225 arbitraging based on put-call parity has no precedent. We concluded that arbitrage opprtunity in Nikkei 225 index derivatives market in SGX-DT is limited after taken into consideration of the practical trading constraint.
Final Year Project (FYP)
Nanyang Technological University